In my project, I have to get the delta of up and out call option (with vol surface). I found out that QuantLib might help me on that.
Since my main language is python and I don't know well about C++, ...

This last quarter of college for senior project, I will be doing research on the application of jump-diffusion processes to pricing derivatives. I was wondering if anyone could recommend any resources ...

I have a question about the solution of the Black-Scholes PDE for the European call option when I read the book Stochastic Calculus for Finance II of Steven E.Shreve.
Let $c(t,x)$ be the value of the ...

A lot of parameters in one title, I know. So there's credit scoring but not using credit history. Then there's using a Bayesian logit model. Then there's doing so in a developing country such as Haiti ...

I am trying to understand how to calculate the discount factors $disc(TTM)$ mentioned on Page 9 of this pdf. When I'm calculating the discount factors, mentioned each bond has its own cash flow and ...

I am trying to compare 2 equity funds, I have 10Y of monthly returns (no knowledge of their share allocations) - and their index benchmark returns.
They are both Value managers but I am not looking ...

Assume the stock price follows a geometric Brownian motion Then in Black-Scholes pricing model, $N(d_2)$ is the risk-neutral probability that the option expires in-the-money. However, it is said that ...

When it comes to foreign exchange carry trade strategy, the definition is straightforward: an investor borrows 1 USD in the US (low interest country) and invests that $1 to AU (high interest country). ...

The changing in price of shares are down to the number of people buying or selling stock. So, if there is a large demand for a stock then the share price will increase, and if there are lots of people ...

I am working a bit on this paper, which is about Long-run risk through Consumption Smoothing.
In equation (8) and (9) the authors define the stochastic process for the technology as:
$Z_t = exp(\mu ...

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...

I am trying to use technical analysis method (Kagi and Renko method in particular) to analyse my high frequency data. I applied those methods over 1 year, 2 years and 5 years high frequency data. I ...

I have a set of assets, n. I'm trying to find the correlation between 2 portfolios, say x and y, where x is nested in, or, a sub-set of y. That is, x is a portfolio based on a sub-set of n, while y is ...

For example, if a company reports earnings today after the close (6/24), the earnings date would be 6/24 but the field I'm looking for would be 6/25. If they reported tomorrow before the open, both ...

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. I am using the procedure presented in this paper.
The way I ...

First of all, warm hello to all.
I am newbie and i admit it, but with at least 15+ years of exp in C++.
Working in IB - derivatives mainly, but unfortunately on the business side not trading at all. ...

Without having to use Black-Scholes, how do I price this option using a basic no-arbitrage argument?
Question
Assume zero interest rate and a stock with current price at \$$1$ that pays no dividend. ...

Having read through similar topics, I see these questions are often poorly received, so apologies if this is not the place to ask (would appreciate if someone could redirect me). I shall try to be as ...

In the past, I have used the package RBloomberg to directly pull bloomberg data into R. I've also seen it go by the names Rbbg or R[Name Redacted]. It seems to me, however, that this package no longer ...

I'm new to quantlib. I am trying to construct a PiecewiseYieldCurve. I been looking at the implementation of FRA. It seems that the start date of the FRA must be an integer number of month from the ...